In the Create Amortization & Accretion Rules panel, when you create amortization/accretion rules that specify how the system amortizes the securities held by the entity, you can select various options based on the requirements of your business.
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When setting up rules for Average Cost entities, ensure you review the Understand Average Cost Amortization section in Eagle Accounting’s Amortization Methodology for important requirements. |
The following are the options in the Amortization & Accretion Rules panels.
Option | Tag | Description |
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Rule Information | ||
Rule Name | 3197 | Identifies the name of the accounting rule established in the Create Accounting Rules panel. You must create this value prior to creating an amortization rule, and can select all established accounting rules from a list. When the system performs a lookup for the accounting rule, Eagle Accounting populates tag 4629, which is the Instance Number for the accounting rule. When you submit a new amortization rule, Eagle Accounting also creates an Instance Number (tag 4256) for the amortization rule. The system provides the following accounting rules for amortization/accretion:
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Optional. Identifies the processing security types (PST) to which the amortization accretion rule applies. If you:
- Select a value for this field, the rule you are adding applies to securities with that processing security type, provided you do not set up a rule for a Primary Asset ID that also has that security type. For more information, see Understand the Amortization/Accretion Security Type.
- Leave blank this field, along with Amortization Accretion Rule Type, Issue Name, and Primary Asset ID fields, the rule you are adding applies as the accounting basis default, or a generic rule, for the Accounting Basis.
Rule Begin Date | 220 | Required. Specifies the beginning date that the system begins to apply the amortization rule to the fund. If the rule should no longer be applied after a certain date, you enter the End Date (tag 221) on the Edit Amortization & Accretion Rules panel, and then create a new amortization rule in the Create Amortization & Accretion Rules panel with a Rule Begin Date equal to the previous Rule End Date, plus one day. For example, if the End Date of a previous amortization rule is December 31st, the Begin Date of the new amortization rule is January 1st. | ||||||
Asset/Security Specific | ||||||||
| 3931 | Optional. Identifies the processing security types (PST) to which the amortization accretion rule applies. If you:
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Amortization/Accretion Rule Type | 12008 | Optional. Identifies an amortization rule defined at a level that falls above the asset identifier level and below the processing security type level. You can assign a value at this level when amortization rules vary within securities with a common processing security type and you do not want to assign those rules at the individual security level. Before you assign rule types, you can use the Codes workspace to create the appropriate code values that have a code category name of AMORTRULETYPE. | ||||||
Issue Name | 961 | If you define the rule at the security level, specifies the name of the security. Otherwise, if you leave this field blank, the system applies the rule to all securities within the entity. Issue Name, Cross Reference |
ID (tag 14), and Cross Reference Type (tag 1432) are optional fields. Entering a value in either the Cross Reference ID or Issue Name field creates an amortization rule at the position level for that specific security identifier. If you perform a lookup on either the Issue name or Cross Reference ID field, Eagle Accounting returns the other field's value, and also returns Security Alias (tag 10) to the panel (this field is hidden and locked). You can only select securities with processing security types eligible for amortization in this panel. | ||
Cross Reference Type | 1432 | If you define the rule at the security level, specifies the cross reference or primary asset |
identifier type for the security, such as CUSIP, ISIN, and SEDOL. Otherwise, you can leave this field blank. |
Specifies the tax status of the securities to which the amortization/accretion rule applies. The system uses the Federal Tax Indicator field (tag 1545) at the security level to determine the security's tax status. Options include:
- Taxable
- Non-Taxable
- Both (Default)
Specifies the amortization/accretion method. Options include:
- Constant Yield 1. Calculates where the amortization should be each day, life-to-date, based on the constant yield amortization calculation and the security's day count.
- Constant Yield 2. Calculates the period-to-date amortization using the constant yield amortization formula and divides the calculated period-to-date amortization by the actual number of days in the coupon period.
- Level Yield 1. Calculates where the amortization should be each day, life-to-date, based on the level yield amortization calculation and the day count of the security.
- Level Yield 2. Calculates where the amortization will be at the end of the period and then divides the total amount of amortization by the actual number of days left in the periods.
- Level Yield Daily Compounding 1. Calculates amortization using the level yield 1 calculation, but compounds the amortization daily, rather than on the coupon date of the security.
- Level Yield Daily Compounding 2. Calculates amortization using the level yield 2 amortization calculation within coupon periods that have daily compounding.
- Straight Line. Calculates amortization by adjusting the cost of the holding toward par by equal daily amounts, throughout the life of the bond. The daily amortization/accretion delta for straight line amortization is calculated by subtracting the original cost from par, then dividing the result by the number of days in the life of the issue, from settlement date. Straight-line amortization is used mainly for short-term debt securities, but you can use it for any security type if appropriate. The system supports two different methods of calculating straight-line amortization: Straight Line Actual and Straight Line.
- Straight Line Actual. Calculates amortization using the daily factor amount, which is calculated by subtracting the original cost from par, then dividing the result by the actual number of days in the life of the issue from settlement date. This amortization method uses an actual day count to determine the amortization daily delta (the daily change in the amortized amount). For example, a bond with a 30/360 Day Count basis using this amortization method would have an amortization daily factor applied on the 31st day of the month.
- None. Does not calculate amortization/accretion.
(For Future Use.) This field appears if you set the Amortization/Accretion Method field to a value of Default or Prospective. Options include:
- DEF (Reference data effecting amortization yield). Default.
- DEFCF (Changes for amort yield and third party cash flow).
Determines amortization on caps/floors. This option does not apply to Average Cost. Options include:
- No Restriction. Amortization can move in any direction and can amortize away from the redemption price. For example, things that could cause amortization to move away from par include scalloping, long or short coupon periods caused by business day convention overrides, and put or call information.
- Book Price Cannot Move Away From Par. In the event that amortization is moving away from par (due to a mathematical anomaly or call or put data), the system does not apply amortization during that period and recalculates a new yield at the start of the next coupon period. Calculation of the new yield is based upon the amortized cost as of that date and the applicable amortization rule.
Specifies whether the system amortizes at disposition. Options include:
- Yes. Amortize at disposition. Post market premium amortization, OID amortization, and acquisition premium to the general ledger and subledger on a daily basis.
- No. Do not amortize at disposition. Post amortization/accretion to the subledger and general ledger on a daily basis based on the amortization rule.
Specifies whether you want to recognize OID (original issue discount) amortization on bonds issued at a discount price. The system determines OID eligibility by checking the OID Indicator field (tag 218) on the security master file. Options include:
- Yes. If the OID Indicator field on the SMF is set to Yes and the Issue price of the bond is less than the maturity price, the system calculates the adjusted issue price for the settlement date of the bond based on the constant yield 2 method of amortization. The system then recognizes two different streams of amortization: an OID stream of amortization from the adjusted issue price to redemption date and redemption price, and an acquisition premium/discount stream from the purchase price of the bond to the adjusted issue price.
- No. If you set this field to No and the OID Indicator field on the SMF is set to Yes, the system recognizes market discount amortization if the security is purchased at a discount and the entity/accounting basis recognizes market discount amortization.
- Constant Yield Differential. If the OID Indicator field on the SMF is set to Yes and the Issue price of the bond is less than the maturity price, the system calculates the adjusted issue price for the settlement date of the bond based on the constant yield 2 method of amortization. The OID income is calculated in the same way it is when you select a value of Yes for this field. To calculate the amortization income, the system starts with the amortization stream from purchase price to maturity date and price. The OID stream value is then subtracted from the amortization stream value to compute the amortization income posting. If the purchase price is greater than the adjusted issue price at purchase (acquisition premium), the amortization income is negative.
Indicates whether to use different amortization methods for original issue discount (OID) and market amortization. This field appears if you set the Recognize OID field to Yes. Options include:
- Use Main Amort Rule Method. Default. Indicates that you do not want amortization methods used for OID and market amortization to differ.
- Straight Line. Indicates that you want market amortization to use the straight line method and OID amortization to use your default amortization method. Select this option only if your default amortization method is not straight line. For example, if your default amortization method is constant yield, you can select this option to maintain separate amortization streams for OID and market discount amortization, using the straight line method for market discount and constant yield for the original issue discount stream.
Specifies whether you want to net the OID (original issue discount) amortization and the acquisition premium on the general ledger. Options include:
- Yes. For OID eligible bonds purchased at a discount, but still above the adjusted issue price, the system nets the values of the acquisition premium stream and OID amortization steam on the general ledger, and tracks the acquisition premium and OID amortization separately on the subledger. The system calculates the acquisition amortization premium stream daily delta in proportion to the amount of the OID being recognized.
- No. The system tracks the acquisition premium and OID amortization stream separately on the general ledger and subledger.
Determines the amortization streams to which the system should apply the DeMinimis test, and what action should take place if a security fails the DeMinimis test. The DeMinimis test determines whether the amount to amortize is greater than ¼ of 1% (.0025) of the redemption price, multiplied by the number of complete years to redemption date. Options include:
- OID Only. The system only applies the DeMinimis test to the OID amortization stream.
- All Discount Purchases. The system applies the DeMinimis test to the entire total discount amortization stream. If you select this option, DeMinimis does not apply to securities bought at a market premium.
- Acquisition/Market Discount. The system applies the DeMinimis test to the market discount stream or for an acquisition discount amortization stream (an acquisition discount amortization indicates that an OID eligible bond is purchased below the adjusted issue price.
- Apply Each Independently. The system applies the DeMinimis test to the market discount stream and OID stream independently. If it determines the market discount stream to be deminimis, it discontinues the market discount stream. If it determines the OID stream to be deminimis, it discontinues the OID stream.
- None. The system does not apply the DeMinimis test.
Identifies what action takes place if the amortization stream specified in the DeMinimis Test Application field (tag 3935) fails the DeMinimis test. Options include:
- Discontinue Amortization Streams. If you set DeMinimis Test Application to All Discount Purchases, the Within DeMinimis Test Action field displays a value of Discontinue Amortization Streams, and you cannot change it. If you set DeMinimis Test Application to OID Only, you can set the Within DeMinimis Test Action field to a value of Discontinue Amortization Streams.
- Apply OID Only. If you set DeMinimis Test Application to Acquisition Discount/Market Discount, the Within DeMinimis Test Action field displays a value of Apply OID Only, and you cannot change it.
- Discontinue Amortization Streams. If you set DeMinimis Test Application to Apply Each Independently, the Within DeMinimis Test Action field displays a value of Discontinue Amortization Streams, and you cannot change it.
- Apply Market Discount. If you set DeMinimis Test Application to OID Only, you can set the Within DeMinimis Test Action field to a value of Apply Market Discount.
Specifies whether the system factors the call dates and prices into the amortization calculation. The system uses the calls, puts, sink, and pre-refunded information in the Schedule table for yield calculation, but processes calls, puts, sink payments, and transactions based on information in the Corporate Action table. Options include:
- Yield to Worst Call Date. Calculate the yield and amortization target date to the call date and price that gives the lowest yield for the tax lot. If the security is not called at the worst call date, calculate to the next worst call date. If no call date is available after the worst call date, amortize to maturity date. When calculating a yield to worst, the system includes the yield to maturity date and price in the calculation, so in some cases, the yield to worst could be the maturity date and price.
- Yield to Next Call Date. Calculate the yield and amortization target date to the next available call date and price in the schedule. If the security is not called at the next call date, calculate to the next call date in the schedule. If no call date is available after the last call date in the schedule, the system amortizes to maturity date.
- Yield to Next Call Date with Suspense. Amortize to the next call date and price while suspending any amortization of premium or accretion of discount if the next call date and price would cause the tax lot to amortize away from par.
- Do Not Recognize Call Feature. Ignore the call schedule located in the schedule table for the purpose of calculating an amortization yield and amortization target date.
- Yield to Best Call with Suspense. Select the call/put date and price between the yield date and maturity date that gives the highest yield. The yields to maturity and any pre-refunding are included as if they were calls. Calls and puts after any pre-refunding date are ignored. If this call/put price would cause amortization to move away from the bond's par value, hold amortization constant until this call/put date. When the call or put is not executed, repeat the process to find the highest remaining yield and its call or put date. While this calculation is intended for use with taxable securities purchased at a premium, it operates on any holding that meets the amortization/accretion rule's selection criteria.
Specifies whether the system factors the put dates and prices into the amortization calculation. The system uses the calls, puts, sink, and pre-refunded information in the Schedule table for yield calculation, but processes calls, puts, sink payments, and transactions based on information in the Corporate Action table. Options include:
- Do Not Recognize Put Feature. Ignore the put schedule located in the schedule table for the purpose of calculating an amortization yield and amortization target date.
- Yield to Best Put Date. Calculate the yield and amortization target date to the put date and price that gives the highest yield. If the security is not put at the best put date, calculate to the next best put date. If no put date is available after the best put date, amortize to maturity date. When calculating a yield to best, the system includes the yield to maturity date and price in the calculation, so in some cases, the yield to best could be the maturity date and price.
- Yield to Next Put Date. Calculate the yield and amortization target date to the next put date and price in the schedule. If the security is not put at the next put date, calculate to the next put date in the schedule. If no put date is available after the last put date in the schedule, the system amortizes to maturity date.
- Yield to Next Put Date with Suspense. Amortize to the next put date and price while suspending any amortization of premium or accretion of discount if the next put date and price would cause the tax lot to amortize away from par.
Determines whether the pre-refunded date is used during amortization. Options include:
- Recognize Pre-refunded Date. Default. This option supports legacy processing.
- Do Not Recognize Pre-refunded Date.
- Recognize Pre-refunded Date using Announcement Date.
Indicates whether you want to recognize the step bond as a regular variable rate bond. Options include:
- Yes. The system recognizes the step bond as a variable rate bond. Future variable rates are ignored when calculating the amortization yield for the step bond.
- No. The system does not recognize the step bond as a variable rate bond. Future variable rates are recognized when calculating the amortization yield for the step bond.
Indicates the price methodology to use for convertible securities during amortization. Options include:
- Embedded Equity Option Value. Allows for the separation of the embedded equity option value from convertible bond acquisition cost by deriving the fixed income bond cost and utilizing that for amortization. The calculation for fixed income bond cost is as follows: Fixed Income Bond Cost = Convertible Bond Acquisition Cost - Embedded Equity Option Value. If the fixed income bond cost is at a premium, the system amortizes to the system derived maturity price plus the embedded equity option value.
- Stated Redemption Price at Maturity. Default. Considers the value of the stock in determining the target maturity price. The calculation is as follows: Conversion Ratio * Market Value of Underlying Stock/10.
Determines which external cash flow record to use. If the system does not find a match, it uses the values in the Amortization Method field (tag 113) and Prepayment Assumptions field (tag 4518) to drive the calculation of amortization yields. Options include:
- Yes. Allows you to use externally calculated cash flows in the calculation of an amortization yield. The system discounts the cash flows in the Vendor Cash Flow table and applies amortization based on the amortization method established for the particular amortization rule. For example, if the amortization/accretion rule is established as constant yield 2, the system discounts the cash flows and applies amortization based on a constant yield 2 methodology. If you select this value, the Third Party Cash Flows Source Name field, the Cash Flow Type field, and the Requested Speed field appear, and are required.
- No. Does not use externally calculated cash flows in the calculation of an amortization yield.
- Automatic Adjustments. (Not used).
Specifies processing for changes to the change application amortization rule's begin and end dates. The system uses this field when you create a new accretion/amortization rule to replace an existing accretion/amortization rule. Options include:
Issue Name (tag 961), Cross Reference ID (tag 14), and Cross Reference Type (tag 1432) are optional fields. Entering a value in either the Cross Reference ID or Issue Name field creates an amortization rule at the position level for that specific security identifier. If you perform a lookup on either the Issue name or Cross Reference ID field, Eagle Accounting returns the other field's value, and also returns Security Alias (tag 10) to the panel (this field is hidden and locked). You can only select securities with processing security types eligible for amortization in this panel. | ||||||||
Cross Reference ID | 14 | If you define the rule at the security level, specifies the identification number of the cross reference or primary asset ID for the security. Otherwise, you can leave this field blank. Issue Name (tag 961), Cross Reference ID (tag 14), and Cross Reference Type (tag 1432) are optional fields. Entering a value in either the Cross Reference ID or Issue Name field creates an amortization rule at the position level for that specific security identifier. If you perform a lookup on either the Issue name or Cross Reference ID field, Eagle Accounting returns the other field's value, and also returns Security Alias (tag 10) to the panel (this field is hidden and locked). You can only select securities with processing security types eligible for amortization in this panel | ||||||
Taxable Status Indicator | 1143 | Specifies the tax status of the securities to which the amortization/accretion rule applies. Used in conjunction with the Begin Date and End Date fields to establish separate amortization rules for taxable non-taxable securities at an accounting basis-level, at a processing security type-level, and amortization/accretion security type or to create a simple rule for both taxable and non taxable. The system uses the Federal Tax Indicator field (tag 1545) at the security level to determine the security's tax status. For example, you can use this field working with the Amortization/Accretion Election field to establish an amortization rule for taxable bonds purchased at a Market Premium to utilize a yield to Best Call and an amortization rule for non taxable bonds purchased at a market premium to amortize a Yield to worst. Options include:
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Amortization/Accretion | ||||||||
Amortization/Accretion Election | 3933 | Determines how to recognize amortization on bonds. You can use this field in conjunction with the Begin Date and End Date fields to establish separate amortization rules for tax lots purchased at a Market Discount and at a Market Premium, at an Accounting Basis-level, at a Processing Security Type-level, and/or at a Security ID-level. Options include Market Discount, Market Premium, Both, and None. If you select a value of Both or None, the amortization rule applies to both market discount and market premium tax lots. The system prevents you from setting up a separate amortization rule for either market premium or market discount. | ||||||
Yield Type | 989 | Determines how Eagle Accounting applies the yield in order to calculate amortization. Options include:
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Adjustment Type | 990 | Specifies the type of adjustment to use for the Net Present Value yield type. This field appears if you set the Yield Type field to a value of Net Present Value. Options include:
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Amortization Methodology | 16007 | Specifies the type of amortization methodology that Eagle Accounting can lock in and apply. Options include:
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Amortization/Accretion Method | 2286 | Specifies the amortization/accretion method. This field appears if you set the Yield Type to Net Present Value and set the Adjustment Type to PAC. For more information, see Understand the Amortization/Accretion Method. Options include:
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| 113 | Specifies the amortization/accretion method. This field appears if you set the Yield Type to Yield*Book Value. Or if you set the Yield Type to Net Present Value and set the Adjustment Type to ECL or None. For more information, see Understand the Amortization/Accretion Method. Options include:
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| 16013 | Determines when and under what conditions the system performs a prospective amortization calculation. This field appears when you set the Amortization Methodology field to either Default or Prospective. However if you set the Adjustment Type to ECL and the Amortization Methodology to Prospective, the ECL Prospective Amortization Yield Recalculation Frequency Field appears instead. For more information, see Understand the Prospective Amortization Yield Recalculation Frequency. Options include: The available options listed below are grouped by 1) Default options that recalculate when there is an SMF update, 2) Option used when you do not want to recalculate, 3) Options that recalculate based on a specified time period, 4) Options that recalculate based on specified SMF data change, and 5) Options that group the SMF data change options.. Default options recalculate when there is an SMF update:
NOTE: Mortgage backed securities also, by default, always recalculate the yield on coupon dates. Option when you do not want to recalculate:
Options that recalculate based on a specified time period:
Options that recalculate based on specified SMF data changes:
Options that group the SMF data change options:
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ECL Prospective Amortization Yield Recalculation Frequency | 7001 | Determines when and under what conditions the system performs a prospective amortization calculation when you use the ECL (expected credit loss) NPV (net present value) methodology. This field appears when you set the Yield Type field to Net Present Value, the Adjustment Type to ECL, and the Amortization Methodology Field to Prospective. For more information about prospective methodology, see Understand the Prospective Amortization Yield Recalculation Frequency.
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Prospective Amortization Yield Recalculation Start Date | 16014 | Specifies the date that the first Prospective amortization is calculated. In addition, the Prospective amortization is the base value in determining the future schedule of automatic Prospective calculation when the Earnings process is invoked. This field appears when you set the Prospective Amortization Recalculation Frequency field to either Monthly, Quarterly, Semiannual, or Annual. | ||||||
Prospective Roll Convention | 16015 | Further defines the automatic Prospective calculation schedule. This field appears when you set the Prospective Amortization Recalculation Frequency field to either Monthly, Quarterly, Semiannual, or Annual. Options include Last Day of the month and Same Day of the month. For example if the First Prospective Amortization Recalculation Start Date was 20170930, the Prospective Amortization Frequency is quarterly, and Prospective Roll Convention is Same Day Of Month. The Earnings process will automatically calculate a Prospective Amortization adjustment every December 30, March 30 and June 30. In the same example, with exception the Prospective Roll Convention is set to Last Day of Month, The Earnings process will automatically calculate a Prospective Amortization adjustment every September 30, December 31, March 31 and June 30. | ||||||
Automatically Apply Retrospective Amortization | 16009 | Determines whether the Earnings process automatically calculates a retrospective adjustment. This field appears if you set the Amortization Methodology field to Retrospective. Options include:
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Retrospective Type | 9159 | Determines the starting point for the retrospective amortization calculation date when executing an automatic retrospective adjustment. This field appears when you set the Automatically Apply Retrospective Amortization field to Yes. Options include:
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Retrospective Amortization Recalculation Frequency | 2285 | Determines when and under what conditions the system performs an automatic retrospective amortization calculation when you use the PAC (prepayment assumption catchup) NPV (net present value) methodology. This field appears when you set the Yield Type field to Net Present Value. the Adjustment Type to PAC, the Amortization Methodology Field to Retrospective, and the Automatically Apply Retrospective Amortization field to Yes. When you set up an amortization/accretion rule to automatically recalculate yields when third party cash flows change, third party cash flow changes include changes to source, cash flow type, requested speed type, and effective date. Changes also include new or cancelled records with a Released status, or an update from a Pending Status to a Released status. When you set up an amortization/accretion rule to automatically recalculate yields when third party prepayment speeds change, prepayment speed changes include changes to source, effective date, and security alias. Options include:
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Retrospective Amortization Recalculation Frequency | 16010 | Determines when and under what conditions the system performs an automatic retrospective amortization calculation. This field appears when you set the Yield Type field to Yield*Book Value, the Amortization Methodology Field to Retrospective, and you set the Automatically Apply Retrospective Amortization field to Yes. It also appears when you set the Yield Type field to Net Present Value, the Adjustment Type to None, the Amortization Methodology Field to Retrospective, and you set the Automatically Apply Retrospective Amortization field to Yes. When you set up an amortization/accretion rule to automatically recalculate yields when third party cash flows change, third party cash flow changes include changes to source, cash flow type, requested speed type, and effective date. Changes also include new or cancelled records with a Released status, or an update from a Pending Status to a Released status. When you set up an amortization/accretion rule to automatically recalculate yields when third party prepayment speeds change, prepayment speed changes include changes to source, effective date, and security alias. The available options listed below are grouped by 1) Option used when you do not want to recalculate, 2) Options that recalculate based on a specified time period, 3) Options that recalculate based on specified SMF data changes, and 4) Options that group the SMF data change options.. Option when you do not want to recalculate:
Options that recalculate based on a specified time period:
Options that recalculate based on specified SMF data changes:
Options that group the SMF data change options:
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Retrospective Recalculation Amortization Start Date | 16011 | Specifies the date that the first retrospective amortization is calculated. In addition, the retrospective amortization will be the base value in determining the future schedule of automatic retrospective calculation when the Earnings process is invoked. This field appears when you set the Retrospective Amortization Recalculation Frequency field to Monthly, Quarterly, Semiannual, or Annual. | ||||||
Retrospective Roll Convention | 16012 | Further defines the automatic retrospective calculation schedule. This field appears when you set the Retrospective Amortization Recalculation Frequency field to Monthly, Quarterly, Semiannual, or Annual. Options include:
For example, if the first Retrospective Amortization Recalculation Start Date was 20170930, the Retrospective Amortization Frequency is quarterly, and Retrospective Roll Convention is Same Day Of Month. The Earnings process automatically calculates a Retrospective Amortization adjustment every December 30, March 30, and June 30. In the same example, with exception the Retrospective Roll Convention is set to Last Day of Month. The Earnings process automatically calculates a Retrospective Amortization adjustment every September 30, December 31, March 31, and June 30. | ||||||
Amortization Cap/Floor Method | 10130 | Controls the directions that amortization can move in. This option does not apply to Average Cost. Options include:
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Amortization at Disposition | 3902 | Specifies whether the system amortizes at disposition. Options include:
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Allow Amortization on Short Positions | 11484 | Determines whether to allow amortization on short positions. Options include:
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| 9007 | Controls how Eagle Accounting handles amortization rule changes, based on the amortization rule's begin and end date. For more information, see Understand the Amortization Rule Change Application Option. Options include:
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Use User Defined Amortization Schedule | 9156 | Indicates whether to use a customized amortization schedule for a particular lot. Options include:
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Straight Line Override | 3938 | Allows Eagle Accounting to discontinue the specified amortization/accretion method prospectively, and to apply the straight line actual (SLA) amortization method within 60, 180, or 365 days from maturity. You can select a value of 60, 180, or 365 days. The default value of this field is 0 (zero) days. This field is available only if you set Amortization/Accretion Method to a value of constant yield 1 (CY1), constant yield 2 (CY2), level yield (LY1), or level yield 2 (LY2). Options include:
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OID | ||||||||
| 9197 | Determines whether Eagle Accounting recognizes OID amortization for an OID eligible bond that was repurchased at a discount and which OID methodology to apply in the calculation of Acquisition Premium and Acquisition Discount. Eagle Accounting determines OID eligibility by checking that the OID Eligible (tag 218) field on the SMF is set to Yes, and that the Issue Price of the bond is less than the Maturity Price. If you recognize OID amortization, then for an OID eligible bond, Eagle Accounting calculates the adjusted issue price (calculation follows) for the settlement date of the bond, based on the Constant Yield 2 method of amortization. For more information, see Understand Original Issue Discount (OID). Options include:
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Market Discount Amortization Method - OID Bonds | 2301 | Indicates whether to use different amortization methods for original issue discount (OID) and market amortization. This field appears if you set the Recognize OID field to Yes. Options include:
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| 4526 | Specifies whether you want to net the OID (original issue discount) amortization and the acquisition premium on the general ledger. For more information, see Understand the Premium Proportional Option. Options include Yes and No. | ||||||
DeMinimis | ||||||||
| 3935 | Works in conjunction with the Within DeMinimis Test Action field to determine the amortization stream(s) to which Eagle Accounting should apply the DeMinimis test, and what action should take place if a security fails the DeMinimis test. The DeMinimis test determines whether the amount to amortize is greater than ¼ of 1% (.0025) of the redemption price, multiplied by the number of complete years to redemption date. For more information, see Understand the DeMinimis Test Application and Within DeMinimis Test Action Options. Options include:
NOTE: DeMinimis Test Application is not a viable option for a portfolio with Average Cost. | ||||||
| 3936 | Identifies what action takes place if the amortization stream specified in the DeMinimis Test Application field fails the DeMinimis test. That is, it determines the outcome if the amount to amortize is greater than 1/4 of 1% of the redemption price multiplied by the number of complete years to redemption date. This field appears if you set the DeMinimis Test Application field to a value other than None. For more information, see Understand the DeMinimis Test Application and Within DeMinimis Test Action Options. Options include:
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Schedule Data | ||||||||
| 3939 | Specifies whether the system factors the call dates and prices into the amortization calculation. The system uses the calls, puts, sink, and pre-refunded information in the Schedule table for yield calculation, but processes calls, puts, sink payments, and transactions based on information in the Corporate Action table. For more information, see Understand the Recognize Call Date & Prices Option. Options include:
NOTE: If both Call and Put data exists for the same effective date, Eagle Accounting prioritizes the Put schedule. | ||||||
| 3937 | Specifies whether the system factors the put dates and prices into the amortization calculation. The system uses the calls, puts, sink, and pre-refunded information in the Schedule table for yield calculation, but processes calls, puts, sink payments, and transactions based on information in the Corporate Action table. Options include:
NOTE: If a security has pre-refunded information, based on a security ID, available in the Schedule table, Eagle Accounting uses the pre-refunded date and price regardless of how you recognize calls and puts in the amortization calculations, and amortizes to the pre-refunded date and price. | ||||||
| 3860 | Determines whether Eagle Accounting uses the pre-refunded date during amortization. For more information, see Understand the Recognize Pre-Refunding Option. Options include:
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Third Party Cash Flow | ||||||||
| 11768 | Describes use of third party cash flows. For more information, see Understand the Use Third Party Cash Flows Option. Options include:
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Third Party Cash Flows Source Name | 1102 | Specifies the source name for the cash flow. The system uses the Third Party Cash Flows Source Name field (tag 1102), the Cash Flow Type field (tag 11760), and the Requested Speed field (tag 11761) in conjunction with the Security Alias to determine which external cash flow record to use on the Cash Flow Type. If Eagle Accounting does not find a match based on these fields in the Vendor Cash Flow table, the system uses the values in the Amortization Method field (tag 113) and Prepayment Assumption field (tag 4518) to drive the calculation of amortization yields. | ||||||
Cash Flow Type | 11760 | Specifies the prepayment model used to create the cash flow. The system uses the Third Party Cash Flows Source Name field (tag 1102), the Cash Flow Type field (tag 11760), and the Requested Speed field (tag 11761) in conjunction with the Security Alias to determine which external cash flow record to use on the Cash Flow Type. If Eagle Accounting does not find a match based on these fields in the Vendor Cash Flow table, the system uses the values in the Amortization Method field (tag 113) and Prepayment Assumption field (tag 4518) to drive the calculation of cash flows for purposes of calculating an amortization yield. | ||||||
Requested Speed | 11761 | Specifies the speed type used to calculate the principal and interest cash flows. The system uses the Third Party Cash Flows Source Name field (tag 1102), the Cash Flow Type field (tag 11760), and the Requested Speed field (tag 11761) in conjunction with the Security Alias to determine which external cash flow record to use on the Cash Flow Type. If Eagle Accounting does not find a match based on these fields in the Vendor Cash Flow table, Eagle Accounting uses the values in the Amortization Method field (tag 113) and Prepayment Assumption field (tag 4518) to drive the calculation of cash flows for purposes of calculating an amortization yield. | ||||||
Factor Based | ||||||||
| 16650 | Indicates how to treat the effective maturity date in the calculation of cash flow for purposes of deriving an amortization yield. The Effective Maturity Date is the projected maturity date used in place of the final maturity for purposes of calculating amortization yield(s). Eagle Accounting automatically uses the effective maturity date field for credit card securities, that is, securities with a processing security type (PST) of Factor Based Debt Instrument Credit Cards (DBFBCC). You can additionally use the Effective Maturity Date Method option with the processing security types, Factor Based Debt Instrument Auto Loans (DBFBAL), Factor Based Debt Instrument (DBFBFB), Principal Only Factor Based Debt Instrument (DBFBPO), and Interest Only Factor Based Debt Instrument (DBFBIO). Options include:
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| 4518 | Determines the prepayment speed and prepayment method that Eagle Accounting uses to calculate additional principal repayment in the projection of future cash flows for MBS and ABS securities. Eagle Accounting uses this value to select the prepayment speed type and prepayment value from the security master. For example, a Code Value of CPR1 tells Eagle Accounting to use the prepayment model CPR (Constant Prepayment Method), and to use a 1-month CPR speed on the security master, to forecast future cash flows (principal and interest). Eagle Accounting supports four Prepayment Methods: ABS, CPR, PSA, and SMM. If you set up a Processing Security Type or Security ID Level rule that is not an MBS or ABS security, Eagle Accounting forces the Prepayment Assumption value to None. This is also the default value for Prepayment Assumption. For more information, see Understand the Prepayment Assumption Option. Options include:
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Prepayment Time Series Source | 2300 | Specifies the source name for the prepayment time series. | ||||||
Prepayment Time Series Source Instance | 16110 | Specifies the unique identifier for the source name for the prepayment time series. This field appears when you set Effective Maturity Date Method to a value other than Do Not Use Effective Maturity Date. | ||||||
Effective Date of Third Party Cash Flow | 16111 | Indicates which third party cash flow to use. This field appears if you set the Yield Type to Net Present Value and the Adjustment Type to PAC. Options include
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Paydown Costing Allocation | 16008 | Determines how to cost paydown transactions. Options include:
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Stated Interest | ||||||||
Stated Interest Processing | 16412 | Allows you to only recognize premium amortization when either 1) coupon payments are received, on a contractual settlement date basis, or 2) on disposal transactions that have accrued interest. Retail US taxpayers who recognize bond premium amortization should record such amortization on a cash basis rather than an accrual basis. As interest payments are recorded and paid bond premium allocable to the payment should be recorded at the same time. As bond sales with accrued interest results in recognition of interest income to the seller the accrued interest of the sell should be treated as stated interest and the period to date amortization proportionate to the quantity sold on a lot should be recorded at that time. If you use stated interest processing, you can transfer amortization for the current coupon period, starting the beginning of the current period. The system can calculate this value on the first day of earnings after a Conversion or a Receipt. It applies if you use stated interest processing, and it is only used for premium purchases. Stated Interest processing posts amortization corresponding to the period in which a coupon was accrued. You can provide this value, amortization for the current coupon period, starting the beginning of the current period. Without it, amortization would be understated. For more information, see Understand Stated Interest Processing. Options include:
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Stated Interest Recognition | 16413 | Indicates when the system recognizes coupon income and amortization when you use stated interest processing. This field appears if you set the Stated Interest Processing field to Yes. Contractual Settle Date is the only option available. | ||||||
Others | ||||||||
| 3934 | Indicates how to recognize future cash flows (variable rates) for amortization yield calculation of step bonds. Eagle Accounting recognizes a security as a step bond when you set the Coupon Type Code (tag 97) option to Step Rate (S). For more information, see Step Bond Bifurcation Methods and Yields Example. Options include:
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Convertible Option Price Method | 3858 | Indicates the price methodology to use for convertible securities during amortization. For more information, see About Calculating Amortization Yield for Convertible Bonds. Options include:
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Min ILB Ratio Flag | 3855 | Indicates whether Eagle Accounting uses the guaranteed minimum in deflation protected inflation linked bond (ILB) securities in determining daily ILB income for deflation protected inflation linked bonds. This is specific to the recognition of daily ILB income when a deflation linked bond inflation index ratio sinks to a level below the value in the ILB Min Index Ratio (tag 3854). You can specify the security's ILB Min Index Ratio value in the Long Term Debt panel. The current (actual) ILB index ratio is used to calculate the inflation adjust face in accrual, amortization, and valuation processing. Options include:
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